scientific article; zbMATH DE number 6262816

DOI10.3969/J.ISSN.0253-2778.2013.05.009MaRDI QIDQ5398871zbMATH OpenFDO

Authors Xinhan Hu, Wuyi Ye, Baiqi Miao

Publication date 28 February 2014

Full work available at URL https://doi.org/10.3969/J.ISSN.0253-2778.2013.05.009

zbMATH Keywords

conditional VaRcopulacredit risklisted companymarket value

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Credit risk (91G40) Statistical methods; risk measures (91G70)

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Cited in

(5)

• A note on credit risk of vertical Keiretsu firms: preliminary evidence from the Japanese automobile industry
• Analysis of the impact of macroeconomic factors on inter-industry credit risk contagion based on the modified KMV model
• Innovation of credit risk measurement of listed coal companies based on FSVM-KMV
• On corporate credit risk evaluation based on underlying beta
• THE IMPACT OF STOCK RETURNS VOLATILITY ON CREDIT DEFAULT SWAP RATES: A COPULA STUDY

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